G-10國家匯率動態過程與選擇權評價：馬可夫調控模型之實證

淡江大學機構典藏 > 商管學院 > 國際企業學系暨研究所 > 專書 > Item 987654321/119468

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题名:	G-10國家匯率動態過程與選擇權評價：馬可夫調控模型之實證
其它题名:	Dynamic Analyzing and Option Pricing of G-10 Exchange Rates:Empirical Results in Markov-Modulated Models
作者:	吳安琪
关键词:	Exchange rate volatility;Jump risk;State-dependence;Markov-modulated;Currency option pricing
日期:	2016-10
上传时间:	2020-10-29 12:10:49 (UTC+8)
摘要:	This thesis aims to investigate the dynamic process of currency jump risks and applies it to pricing currency options. We explore a Markov-modulated jump diffusion model with state-dependent jump risks (MS-MJ model), which incorporates jump intensity and state-dependence to capture the characteristics of cyclical movements and abnormal shock. Comparing the G-10 currencies (EUR, GBP, JPY, CAD, CHF, AUD, NOK, NZD and SEK) against the USD, the empirical results found that the G-10 currencies are characterized by business cycles and state-dependent jump risks. Moreover, our findings suggest that incorporating state-dependence in jump risks can improve model fitting and option pricing. The sample observations show the MS-MJ model can be more suitable with most of the G-10 spot FX rates, and can improve the pricing performance on most of the G-10 currency options, in particular for at-the-money options.
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